The bull and bear market model of Huang and Day: Some extensions and new results

Fabio Tramontana, Frank Westerhoff, Laura Gardini

Risultato della ricerca: Contributo in rivistaArticolo in rivistapeer review

17 Citazioni (Scopus)

Abstract

We develop a financial market model with interacting chartists and fundamentalists that embeds the famous bull and bear market model of Huang and Day as a special case. Their model is given by a one-dimensional continuous piecewise-linear map. Our model, on the other hand, is more flexible and is represented by a one-dimensional discontinuous piecewise-linear map. Nevertheless, we are able to provide a more or less complete analytical treatment of the model dynamics by characterizing its possible outcomes in parameter space. In addition, we show that quite different scenarios can trigger real-world phenomena such as bull and bear market dynamics and excess volatility.
Lingua originaleEnglish
pagine (da-a)2351-2370
Numero di pagine20
RivistaJOURNAL OF ECONOMIC DYNAMICS & CONTROL
Volume37
DOI
Stato di pubblicazionePubblicato - 2014

Keywords

  • Border Collision Bifurcations
  • Bull and bear finanancial market

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